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University of Washington Math 523A Lecture 2 Martingales: concentration I

Summary: University of Washington Math 523A Lecture 2
Martingales: concentration I
Lecturer: Eyal Lubetzky
April 3, 2009
The Hoeffding-Azuma concentration inequality
Theorem 1 (Hoeffding `63). Let (Xt) be a martingale with respect to (Ft), and let c1, c2, . . . be
real numbers such that |Xt - Xt-1| ct for all t. Then for any a > 0,
P(|Xn - X0| a) 2 exp -
2 n
i=1 c2
Proof. We will show a slightly stronger version of the above theorem: Instead of requiring that
(Xt) is a martingale, we will assume that
E[Xt | Xt-1] = Xt-1 for all t . (0.1)
Let Yt = Xt - Xt-1. By the above assumptions E[Yt | Xt-1] = 0 and |Yt| ct for all t.
The following simple claim says that, if Z is a r.v. bounded by 1 and with mean 0, then the
expected value of exp(Z) is maximized when splitting the mass equally between 1.
Claim 2. Let Z be a random variable satisfying |Z| 1 and EZ = 0. Then


Source: Anderson, Richard - Department of Computer Science and Engineering, University of Washington at Seattle


Collections: Computer Technologies and Information Sciences